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When you BUY, you should using the ASK price and when you SELL you should be using the BID and do not assume volume > than the bid/ask size, correct? (your reply on slippage seems off). Since you state you are using MOO and MOC the price you assume should attempt to reflect that. Note: You...

If you provide some details, it is possible flaws can be identified, however without specific information, we can only speculate. 1st speculation: What product are you trading and are you using a reasonable slippage?

IMHO: Best answer would be "It depends". If have your strategy nailed down, that should provide the first consideration, then consider dependencies based on term and on underlying (not necessarily in that order). Beware that the B/A spread after normal trading should not be part of the...

The market was saying the implied volatility was overextended on those two days. The reverse occurs as well -- look at 5/29 to 6/1. You may want to observe term structure more closely to detect early changes in direction of IV, as this can sometimes be helpful.

Fascinating that TWS defines "Mark Price" as it does! (I do not use IBKR, so find it curious). By that definition Mark Price for less active option contracts is useless at best! - Back to the topic of using a any option model for real time option pricing: "seems a foolish effort, as you...

"https://developer.tdameritrade.com/option-chains/apis/get/marketdata/chains"

IMO: If your BID was > than the ASK you may have a point, else, you eat crow!

I found OptionVue to be a waste of money and time for me. I tweaked my syntax support to make it easier for me to use. Below is rslts: GetTrade.pl n SPX 204 1350 0 -v 1 Examine DB for symbol: SPX max(ts) ->...

FYI: If you would like to see others... Below is the syntax I need, so if you have other request, consider providing the syntax, then I can just copy/paste and run it. Parameters are required (min 5 parameters) <timestamp> : format 'YYYYMMDD.hhmm' or n for now An opra or Expiry...

I do not have ONE or OV (I had them in the past), but they lacked in user flexibility for my needs. This is a current view of vertical and long option candidates for 125 days from now if SPX is down 6.3% (near 2650 on Sep 17th, 2020) and the IV relatively unchanged. ------------------ CRITERIA...

Sure: Using similar request, but for lower target. (I wrote the script against market prices) Note: The script as currently written addresses only Risk defined long option and Verticals of 1 to 10 strikes wide. Kindof a "shotgun/rifle" approach to a reasonable trade fit. If one felt very...

That is no bug. If one selects the BID for placing an order, the tool assumes you want to Sell at that price. If one selects the ASK for placing an order, the tool assumes you want to Buy at that price. If you wish to make a different trade you should insure you know how to use the tool you...

With the strike and time you picked (Aug 100 Strike), the predominate influence on that option price is volatility, not delta -- look at your Vega on that position (and observe the IV change).

Not recommending this be used, but here is a test for the 5K case: ------------------ CRITERIA Used: Time?=Now->20200513.0712, term =SPX221216, Symbol= SPX, days=850, uChange=+74.0%, ivChange=+0.0% Per leg Slippage->0.1 MiniBA spread:50 Commission:1.30 Candidates->5 Target date...

@guru Thnx. problem solved with the "Ignore" setting.

The objective seems to consist of two parts: 1) What one expects the market to do. (I am not commenting on how one can do this). 2) What trade would be best fit to maximize Return on Risk for #1. This is a mechanical operation. Kinda like looking in history at a target date, then walk...

No! Will make up an uneducated projection on SPX as "fodder" for this exercise. ASS-U-ME you know that SPX is expected to increase in price +10% by July 3rd of this year, and you expect the volatility (ATM IV) to decrease 20%, You could have a tool to aid the candidates such as this...

What I have begun doing: When I have a target! Meaning I pick the price, time, IV change expected! Then, use that information to derive the ordered by Return On Risk candidate trades by looking at risk defined long options as well as verticals in the appropriate Expiration! So, if my target is...

A weakness in your process (as inferred from your post) seems to be your management and projections for volatility, however your short term view does help to limit your exposure some. Am I correct in assuming your trades are taken to expiration? 5 of 5 is too small a sample size to make...

IV is forward looking (what is expected to occur), while realized volatility is backward looking (what has already happened). When you sate "...after such a sell-off?" <-- You are also inferring the sell-off is past, so future volatility at that point, should be more aligned with what it should...